I didn't watch, but I'm assuming its pulling the retaining clips on the rotor. If so, no you don't. I've put 50,000 miles with 2 different JKs using factory wheels and Spidertrax spacers, never pulled them and never had a problem. Never pulled them on my 06 LJ either, until I put the Alloy USA shafts in it, then I put them back on.

if your wheels are factory wheels no but if aftermarket and no recess then you are a fool not to and besides it is about as easy as buttering toast to do it. Most tire shops pull them when putting on custom rims.